Book contents
- Frontmatter
- Contents
- Preface
- PART I THE FUNDAMENTAL PRINCIPLES
- PART II AN INTRODUCTION TO FINITE- AND INFINITE-DIMENSIONAL STOCHASTIC ANALYSIS
- Introduction
- 11 From finite- to infinite-dimensional Brownian motion
- 12 The Itô integral for infinite-dimensional Brownian motion
- 13 The iterated integral
- 14 †Infinite-dimensional Ornstein–Uhlenbeck processes
- 15 Lindstrøm's construction of standard Lévy processes from discrete ones
- 16 Stochastic integration for Lévy processes
- PART III MALLIAVIN CALCULUS
- APPENDICES: EXISTENCE OF POLY-SATURATED MODELS
- References
- Index
11 - From finite- to infinite-dimensional Brownian motion
from PART II - AN INTRODUCTION TO FINITE- AND INFINITE-DIMENSIONAL STOCHASTIC ANALYSIS
Published online by Cambridge University Press: 05 March 2012
Book contents
- Frontmatter
- Contents
- Preface
- PART I THE FUNDAMENTAL PRINCIPLES
- PART II AN INTRODUCTION TO FINITE- AND INFINITE-DIMENSIONAL STOCHASTIC ANALYSIS
- Introduction
- 11 From finite- to infinite-dimensional Brownian motion
- 12 The Itô integral for infinite-dimensional Brownian motion
- 13 The iterated integral
- 14 †Infinite-dimensional Ornstein–Uhlenbeck processes
- 15 Lindstrøm's construction of standard Lévy processes from discrete ones
- 16 Stochastic integration for Lévy processes
- PART III MALLIAVIN CALCULUS
- APPENDICES: EXISTENCE OF POLY-SATURATED MODELS
- References
- Index
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- Publisher: Cambridge University PressPrint publication year: 2012